8,351 research outputs found
Global theory of the Riccati equation
AbstractThe asymptotic theory of the matrix Riccati equation is developed using non-variational arguments. The cone of positive semi-definite matrices is shown to be invariant under the motions of the Riccati equation and questions of monotonicity and stability are resolved for motions starting in this cone
Lie systems: theory, generalisations, and applications
Lie systems form a class of systems of first-order ordinary differential
equations whose general solutions can be described in terms of certain finite
families of particular solutions and a set of constants, by means of a
particular type of mapping: the so-called superposition rule. Apart from this
fundamental property, Lie systems enjoy many other geometrical features and
they appear in multiple branches of Mathematics and Physics, which strongly
motivates their study. These facts, together with the authors' recent findings
in the theory of Lie systems, led to the redaction of this essay, which aims to
describe such new achievements within a self-contained guide to the whole
theory of Lie systems, their generalisations, and applications.Comment: 161 pages, 2 figure
The geometry of low-rank Kalman filters
An important property of the Kalman filter is that the underlying Riccati
flow is a contraction for the natural metric of the cone of symmetric positive
definite matrices. The present paper studies the geometry of a low-rank version
of the Kalman filter. The underlying Riccati flow evolves on the manifold of
fixed rank symmetric positive semidefinite matrices. Contraction properties of
the low-rank flow are studied by means of a suitable metric recently introduced
by the authors.Comment: Final version published in Matrix Information Geometry, pp53-68,
Springer Verlag, 201
Control Strategies for the Fokker-Planck Equation
Using a projection-based decoupling of the Fokker-Planck equation, control
strategies that allow to speed up the convergence to the stationary
distribution are investigated. By means of an operator theoretic framework for
a bilinear control system, two different feedback control laws are proposed.
Projected Riccati and Lyapunov equations are derived and properties of the
associated solutions are given. The well-posedness of the closed loop systems
is shown and local and global stabilization results, respectively, are
obtained. An essential tool in the construction of the controls is the choice
of appropriate control shape functions. Results for a two dimensional double
well potential illustrate the theoretical findings in a numerical setup
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